Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray Fair () and John B. Taylor ()

No 921, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.

Keywords: Stochastic simulation; rational expectations; maximum likelihood; macroeconomic model (search for similar items in EconPapers)
Date: 1989-08
Note: CFP 764.
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Published in Journal of Applied Econometrics (1990), 5: 381-392

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http://cowles.econ.yale.edu/P/cp/p07b/p0764.pdf (application/pdf)
http://cowles.econ.yale.edu/P/cd/d09a/d0921.pdf (application/pdf)

Related works:
Working Paper: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations (1991)
Journal Article: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations (1990)
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Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:921

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